Invariant Coordinate Selection and Fisher Discriminant Subspace Beyond The Case of Two Groups

Colombe Becquart, Aurore Archimbaud, Anne Ruiz-Gazen, Luka Prilé and Klaus Nordhausen

No 24-1579, TSE Working Papers from Toulouse School of Economics (TSE)

Abstract: Invariant Coordinate Selection (ICS) is a multivariate technique that relies on the simultaneous diagonalization of two scatter matrices. It serves various purposes, including its use as a dimension reduction tool prior to clustering or outlier detection. Unlike methods such as Principal Component Analysis, ICS has a theoretical foundation that explains why and when the identified subspace should contain relevant information. These general results have been examined in detail primarily for specific scatter combinations within a two-cluster framework. In this study, we expand these investigations to include more clusters and scatter combinations. The case of three clusters in particular is studied at length. Based on these expanded theoretical insights and supported by numerical studies, we conclude that ICS is indeed suitable for recovering Fisher’s discriminant subspace under very general settings and cases of failure seem rare.

Keywords: Dimension reduction; Simultaneous diagonalization; Mixture of elliptical distributions; Scatter matrix; Subspace estimation (search for similar items in EconPapers)
Date: 2024-09
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